Modelling with Simple Deform?
Here's the result I've achieved in few steps.


Add an Empty and a mesh representing the lamp's profile.


Being in Object Mode add the Screw Modifier and set Empty in the AxisOb window. Change the number of Steps to define the number of the strips (for example if your lamp consists of 12 strips, you should set the number of Steps to 24). Then apply the Screw Modifier.


Select every other strip and delete them.


Add a Simple Deform Modifier, set its type to Bend and change the Angle of a deformation a bit.


You may also use the other method to achieve it. In Edit Mode select the top vertex and snap the cursor to it. Enable the Proportional Editing Mode (O). Set the proper Proportional Size using Mouse Scroll and move the vertex horizontaly a bit. You can make the lamp shape look less regular using the same method.


You may now add Subsurf, Solidify and Edge Split Modifiers to make the strips look more smooth and give them some thickness.